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fix: window update in indicators. add: cumulative average, triangular moving average

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This commit is contained in:
zenix 2022-04-26 17:32:31 +09:00
parent a8f0c71a53
commit b3741771e3
12 changed files with 219 additions and 10 deletions
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15
pkg/indicator/ca_callbacks.go Normal file
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@ -0,0 +1,15 @@
// Code generated by "callbackgen -type CA"; DO NOT EDIT.
package indicator
import ()
func (inc *CA) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *CA) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

63
pkg/indicator/cma.go Normal file
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@ -0,0 +1,63 @@
package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Cumulative Moving Average, Cumulative Average
// Refer: https://en.wikipedia.org/wiki/Moving_average
//go:generate callbackgen -type CA
type CA struct {
Interval types.Interval
Values types.Float64Slice
length float64
UpdateCallbacks []func(value float64)
}
func (inc *CA) Update(x float64) {
newVal := (inc.Values.Last()*inc.length + x) / (inc.length + 1.)
inc.length += 1
inc.Values.Push(newVal)
if len(inc.Values) > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
}
func (inc *CA) Last() float64 {
if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *CA) Index(i int) float64 {
if i >= len(inc.Values) {
return 0
}
return inc.Values[len(inc.Values)-1-i]
}
func (inc *CA) Length() int {
return len(inc.Values)
}
var _ types.Series = &CA{}
func (inc *CA) calculateAndUpdate(allKLines []types.KLine) {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *CA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *CA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

5
pkg/indicator/dema.go
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@ -49,10 +49,15 @@ func (inc *DEMA) Length() int {
var _ types.Series = &DEMA{}
func (inc *DEMA) calculateAndUpdate(allKLines []types.KLine) {
if inc.a1 == nil {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
} else {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *DEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

9
pkg/indicator/hull.go
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@ -30,14 +30,23 @@ func (inc *HULL) Update(value float64) {
}
func (inc *HULL) Last() float64 {
if inc.result == nil {
return 0
}
return inc.result.Last()
}
func (inc *HULL) Index(i int) float64 {
if inc.result == nil {
return 0
}
return inc.result.Index(i)
}
func (inc *HULL) Length() int {
if inc.result == nil {
return 0
}
return inc.result.Length()
}

1
pkg/indicator/rma.go
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@ -6,6 +6,7 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Running Moving Average
//go:generate callbackgen -type RMA
type RMA struct {
types.IntervalWindow

5
pkg/indicator/tema.go
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@ -54,10 +54,15 @@ func (inc *TEMA) Length() int {
var _ types.Series = &TEMA{}
func (inc *TEMA) calculateAndUpdate(allKLines []types.KLine) {
if inc.A1 == nil {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
} else {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *TEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

7
pkg/indicator/till.go
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@ -53,7 +53,7 @@ func (inc *TILL) Update(value float64) {
}
func (inc *TILL) Last() float64 {
if inc.e1.Length() == 0 {
if inc.e1 == nil || inc.e1.Length() == 0 {
return 0
}
e3 := inc.e3.Last()
@ -64,7 +64,7 @@ func (inc *TILL) Last() float64 {
}
func (inc *TILL) Index(i int) float64 {
if inc.e1.Length() <= i {
if inc.e1 == nil || inc.e1.Length() <= i {
return 0
}
e3 := inc.e3.Index(i)
@ -75,6 +75,9 @@ func (inc *TILL) Index(i int) float64 {
}
func (inc *TILL) Length() int {
if inc.e1 == nil {
return 0
}
return inc.e1.Length()
}

73
pkg/indicator/tma.go Normal file
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@ -0,0 +1,73 @@
package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Triangular Moving Average
// Refer URL: https://ja.wikipedia.org/wiki/移動平均
//go:generate callbackgen -type TMA
type TMA struct {
types.IntervalWindow
s1 *SMA
s2 *SMA
UpdateCallbacks []func(value float64)
}
func (inc *TMA) Update(value float64) {
if inc.s1 == nil {
w := (inc.Window + 1) / 2
inc.s1 = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, w}}
inc.s2 = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, w}}
}
inc.s1.Update(value)
inc.s2.Update(inc.s1.Last())
}
func (inc *TMA) Last() float64 {
if inc.s2 == nil {
return 0
}
return inc.s2.Last()
}
func (inc *TMA) Index(i int) float64 {
if inc.s2 == nil {
return 0
}
return inc.s2.Index(i)
}
func (inc *TMA) Length() int {
if inc.s2 == nil {
return 0
}
return inc.s2.Length()
}
var _ types.Series = &TMA{}
func (inc *TMA) calculateAndUpdate(allKLines []types.KLine) {
if inc.s1 == nil {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
} else {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *TMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *TMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

15
pkg/indicator/tma_callbacks.go Normal file
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@ -0,0 +1,15 @@
// Code generated by "callbackgen -type TMA"; DO NOT EDIT.
package indicator
import ()
func (inc *TMA) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *TMA) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

5
pkg/indicator/vidya.go
View File

@ -69,10 +69,15 @@ func (inc *VIDYA) Length() int {
var _ types.Series = &VIDYA{}
func (inc *VIDYA) calculateAndUpdate(allKLines []types.KLine) {
if inc.input.Length() == 0 {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
} else {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *VIDYA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

1
pkg/indicator/wwma.go
View File

@ -7,6 +7,7 @@ import (
// Refer: Welles Wilder's Moving Average
// Refer URL: http://fxcorporate.com/help/MS/NOTFIFO/i_WMA.html
// TODO: Cannot see any difference between RMA and this
const MaxNumOfWWMA = 5_000
const MaxNumOfWWMATruncateSize = 100

14
pkg/indicator/zlema.go
View File

@ -19,14 +19,23 @@ type ZLEMA struct {
}
func (inc *ZLEMA) Index(i int) float64 {
if inc.zlema == nil {
return 0
}
return inc.zlema.Index(i)
}
func (inc *ZLEMA) Last() float64 {
if inc.zlema == nil {
return 0
}
return inc.zlema.Last()
}
func (inc *ZLEMA) Length() int {
if inc.zlema == nil {
return 0
}
return inc.zlema.Length()
}
@ -49,10 +58,15 @@ func (inc *ZLEMA) Update(value float64) {
var _ types.Series = &ZLEMA{}
func (inc *ZLEMA) calculateAndUpdate(allKLines []types.KLine) {
if inc.zlema == nil {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
} else {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *ZLEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {